货币政策、宏观审慎与汇率波动--基于时变效应的新视角

Monetary Policy, Macro-Prudential Policy and Exchange Rate Volatility--From the Perspective of Time-Varying Effect

本文研究央行政策对人民币外汇市场压力的时变性影响。研究发现,央行数量型货币政策和宏观审慎政策主要通过影响人民币在国际货币市场的"相对"供给水平来影响人民币外汇市场压力的波动,宽松政策在经济高涨时期和经济新常态时期会引起人民币外汇市场贬值压力,在经济萧条时期会引起人民币外汇市场升值压力;央行价格型货币政策主要通过影响人民币在国际货币市场的"相对"需求水平来影响人民币外汇市场压力的波动,宽松政策在经济高涨时期和经济新常态时期会引起人民币外汇市场升值压力,在经济萧条时期会引起人民币外汇市场贬值压力。

This paper studies the time-varying effect of the central bank’s monetary policy on the pressure of RMB foreign exchange market. The results show that, the central bank’s quantitative monetary policy and macro-prudential policy influence the volatility of RMB foreign exchange market pressure through the"relative"supply of RMB in the international money market;the easy monetary policy would increase the pressure of RMB depreciation in foreign exchange market during the period of high economic growth and the new normal, but increase the pressure of RMB appreciation during the period of economic depression;the central bank’s price-based monetary policy influence the pressure volatility of RMB foreign exchange market through the"relative"demand and the easy monetary policy would increase the RMB appreciation pressure during the period of high economic growth and the new normal, but increase the depreciation pressure during economic depression.